π₯ Gold swap: exchange of an EUR fixed rate for the gold lease rate + gold spot exposure
EUR Discount Factors & Gold Lease Rates
Manual input or values from the loaded yield curves (last row). Changes take effect on the next calculation and apply until the number of payments or the frequency is changed. Lease rates as decimals (0.002 = 0.2%).
Sample Data Gold/EUR (251 days)
βΉοΈ Contents: EUR swap curve (as in the swap and CCS calculators), gold lease curve (both zero-coupon, continuous, 3Mβ10Y)
and gold price in EUR/oz, 14 Nov 2025 β 30 Oct 2026 (realistic synthetic data). From these, EUR discount factors and lease rates at the payment dates,
their daily log returns and the covariance matrix are calculated.
Upload Historical CSV
βΉοΈ Two formats: (1) yield curves like the sample data β Date, EUR_<tenor>β¦, LEASE_<tenor>β¦, GOLD_SPOT; the old format (EUR_1M β¦ EUR_10Y, LEASE_1M β¦ LEASE_10Y, GOLD_SPOT) is recognised as well;
(2) risk factors directly: EUR_DF_T1 β¦ EUR_DF_Tn, LEASE_T1 β¦ LEASE_Tn, GOLD_SPOT for the swap's n payment dates (as in the exported time series).
βΉοΈ Notes on CSV import (location & format)
Location: the CSV file must be stored locally on your computer (or a drive/USB stick connected to it). The file dialog always opens your own computer β the calculator cannot access files on a website or server directly. Please download online files first.
Privacy: the file is processed only in your browser and is not uploaded.
Format 1 β yield curves (recommended): header Datum,EUR_0.25Y,β¦,EUR_10Y,LEASE_0.25Y,β¦,LEASE_10Y,GOLD_SPOT. Tenors with M (months) or Y (years); number and position of tenors are free, values are interpolated. EUR rates and lease rates as zero-coupon rates (continuous) in percent, lease rates above 0 (log returns); gold price in EUR per troy ounce. At least 30 rows.
Format 2 β risk factors: optional date column, then n EUR DFs, n lease rates (decimal) and the gold spot; the number of columns must match the payment schedule.
Rows: one trading day per row, in ascending order (oldest first); the last row provides the current market data. 251 rows recommended.
Separator: comma or semicolon; with semicolon a decimal comma is allowed (e.g. German Excel export). Encoding UTF-8.
Generate Synthetic Time Series
Generates 250 trading days of synthetic data for EUR discount factors, gold lease rates and gold spot, starting from the current market values (these remain unchanged). Only the covariance matrix is replaced. Fixed seed: the same series for the same inputs. For illustration only β use the sample data for realistic values.